If you get a third party video/audio player like OPlayer, it should show up as one of the options when you tap-hold on the attachment in Mail. In iOS it will be an icon (if more than nine icons there will be pages to swipe thorugh. In iOS 5 you'll have to choose Open In to see the alternative apps.

It's under General Settings > Messages and Notifications. You can also select/deselect what subscribed threads notify you by going to the Subscriptions page. Both show up in the left column when you use the Settings link (purple) near the top right of the website.

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